Reference Rates - FEDERAL RESERVE BANK of NEW YORK

The New York Fed produces a number of reference rates that provide insight into the dynamics of money markets, which is useful for evaluating the effectiveness of monetary policy implementation.

Reference rates play several important roles in financial markets that support efficient market functioning. They facilitate trading in standardized contracts, which can lower transaction costs and improve market liquidity. They can reduce information asymmetries by providing a transparent, independent pricing source. And a well-designed, robust reference rate that is resistant to manipulation can limit participants’ incentives to misreport pricing for settling a contract.

The New York Fed has served as an administrator and producer of reference rates since at least the 1950s, when it began publishing the daily effective federal funds rate. The New York Fed is committed to producing robust and resilient reference rates that are aligned with international best practices, including IOSCO's Principles for Financial Benchmarks. The New York Fed's reference rates are compliant with these best practices.

Effective Federal Funds Rate (EFFR)

The EFFR is calculated using data on overnight federal funds transactions provided by domestic banks and U.S. branches and agencies of foreign banks, as reported in the FR 2420 Report of Selected Money Market Rates.

Overnight Bank Funding Rate (OBFR)

The OBFR is calculated using the same federal funds transaction data that are included in the EFFR, as well as certain overnight Eurodollar transaction data and certain overnight deposit transactions that are placed at domestic bank branches, as reported in the FR 2420, including unsecured borrowings of U.S. dollars booked at international banking facilities and at offshore branches that are managed or controlled by a U.S. banking office.

For more information, see Additional Information about Reference Rates Administered by the New York Fed.

Secured Overnight Financing Rate (SOFR)

The SOFR provides a broad measure of the general cost of financing Treasury securities overnight, and is calculated based on the data used for the BGCR, as defined below, plus transactions cleared through the Fixed Income Clearing Corporation's (FICC) Delivery-versus-Payment repo service.

SOFR Averages and Index

The SOFR Averages are backward-looking, compounded averages of realized overnight SOFR with tenors of 30-, 90-, and 180-calendar days. The SOFR Index reflects the cumulative impact of compounding SOFR each business day since April 2, 2018, when it was first published, and allows for the calculation of compounded average rates over custom time periods.

Broad General Collateral Rate (BGCR)

The BGCR provides a measure of the rate on overnight Treasury general collateral (GC) repo transactions, and is calculated based on the same tri-party repo transactions used for the TGCR, as defined below, plus General Collateral Finance (GCF) repo transactions cleared through the FICC's GCF Repo service.

Tri-Party General Collateral Rate (TGCR)